Rest API act as listener

I am using rest api (Visual Studio 2010 with MCV4).

Every time I call a api control (http://mysite/myControl?param1=paramvalue ...) I need to logon to aplication, and logoff. This is a lot of time consuming, and I need a solution for that.

I have thought of windows listener service (not web service - I mean windows -> control panel -> administrative tools -> services), that logon once and listen for request, but I don't know how to do that, and whether this is the best thing to do (Anyway, I would like some sample code for that, please).

If I can add something to the MC4 rest tool - that's better.

Need sample code, please.

Thanks :)